IBKR Options History — June 2009

In June 2009, IBKR traded between $3.60 and $3.88. ATM implied volatility averaged 32.8%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.1% (HV 20d: 29.8%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2009-06-29: Highest Volume — 19,668 contracts
  • 2009-06-11: Largest IV spike — 21.1% change
  • 2009-06-18: Highest IV Rank — 6.7%
  • 2009-06-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.74$3.60$3.88$3.75$3.88
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV32.8%28.1%36.9%34.7%32.8%
Expected Move9.6%8.6%10.6%9.9%9.4%
HV 20d29.8%25.1%41.1%41.1%27.3%
HV 60d58.8%54.1%66.0%66.0%54.3%
IV Rank3.6%0.0%6.7%2.7%4.9%
IV Percentile1.9%0.0%5.2%1.6%4.4%
Term Structure3.4%-0.5%5.7%1.4%2.8%
VWIV32.9%27.9%36.9%34.7%32.8%
Skew 25d11.6%-4.4%55.3%2.0%29.1%
Skew 10d24.3%-7.3%100.0%3.1%79.4%
Call IV 25d28.4%23.2%34.7%28.6%23.8%
Put IV 25d40.0%25.8%83.7%30.6%52.9%
Bid-Ask Spread %11.486.9520.686.9513.65
Gamma HHI0.470.280.620.470.28
Net GEX-395.7K-652.9K-108.1K-377.8K-108.1K
Net DEX8.4M-1.7M16.6M8.6M-1.7M
Net VEX-102.3K-110.6K-92.5K-109.2K-108.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.024.350.470.94
Total Volume5,32698019,6683,8681,660
Total OI208,363.818159,816234,488218,200186,956

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$3.75$3.7534.7%9.9%41.1%2.7%34.7%2.0%1.4%-377.8K8.6M-109.2K0.476.95N/AN/A2,6401,22883,580134,620
2009-06-02$3.79$3.7535.0%10.0%37.2%3.0%34.7%5.6%1.1%-359.6K6.4M-110.6K2.219.19N/AN/A5681,25684,304135,180
2009-06-03$3.81$3.7536.9%10.6%37.0%5.0%36.9%55.3%-0.5%-358.8K6.5M-109.5K0.507.89N/AN/A2,3001,14084,696135,268
2009-06-04$3.83$3.7533.3%9.5%34.2%1.1%33.3%42.5%2.0%-397.2K5.7M-108.5K1.917.04N/AN/A1,4042,68884,464137,080
2009-06-05$3.82$3.7534.0%10.4%33.1%2.0%31.5%-4.4%2.3%-396.7K5.5M-108.8K0.6312.30N/AN/A1,6281,03284,928138,204
2009-06-08$3.80$3.7532.1%10.5%31.1%0.0%36.1%-4.4%2.1%-432.7K6.4M-102.5K0.9718.81N/AN/A3,2003,11283,164137,044
2009-06-09$3.78$3.7533.0%10.2%30.1%1.0%35.2%-4.4%3.8%-411.9K6.9M-105.1K0.097.97N/AN/A1,50012885,504136,800
2009-06-10$3.72$3.7528.1%9.1%30.1%0.0%31.5%0.4%5.7%-471.3K10.7M-101.2K0.567.86N/AN/A11,4046,36884,876136,800
2009-06-11$3.67$3.7534.0%9.7%28.0%6.1%27.9%10.2%3.7%-469.4K11.6M-107.3K0.108.56N/AN/A1,10810891,784141,444
2009-06-12$3.69$3.7532.3%9.2%27.3%4.3%31.0%-1.1%4.7%-494.0K12.0M-105.7K1.937.93N/AN/A1,1042,13691,816141,340
2009-06-15$3.64$3.7532.2%9.2%27.7%4.3%32.2%9.8%5.6%-483.5K13.5M-101.2K3.2319.77N/AN/A7202,32891,740140,532
2009-06-16$3.61$3.7534.1%9.8%26.8%6.2%35.1%8.2%3.2%-433.8K16.6M-96.6K2.1020.68N/AN/A31666491,952142,228
2009-06-17$3.65$3.7532.6%9.4%26.7%4.7%32.6%-3.2%3.9%-505.5K15.2M-98.5K0.598.17N/AN/A2,9481,74491,860142,628
2009-06-18$3.62$3.7534.6%9.9%26.9%6.7%34.6%8.7%2.6%-478.8K14.8M-98.3K1.7020.17N/AN/A1,1361,92891,652142,724
2009-06-19$3.72$3.7530.1%8.6%26.4%2.1%30.1%41.1%5.3%-652.9K10.3M-98.4K1.638.18N/AN/A2,9884,86092,344141,964
2009-06-22$3.60$3.7534.3%9.8%29.5%6.4%34.3%-4.2%3.6%-351.2K9.8M-92.5K4.3511.68N/AN/A9884,30057,692102,124
2009-06-23$3.62$3.7533.8%9.7%25.7%5.9%33.8%-3.2%3.4%-354.2K9.6M-95.3K1.5911.38N/AN/A4,2646,77258,352104,216
2009-06-24$3.71$3.7531.6%9.1%25.1%3.6%31.6%2.4%4.9%-346.7K7.6M-99.0K1.8311.01N/AN/A50893259,320107,420
2009-06-25$3.86$3.7530.2%8.7%28.4%2.2%30.2%30.6%5.3%-295.1K3.5M-98.3K0.7210.13N/AN/A2,7682,00059,556106,976
2009-06-26$3.81$3.7530.3%8.7%27.2%2.3%30.4%3.1%4.4%-280.5K4.0M-96.8K0.3810.15N/AN/A5,5122,11660,780105,664
2009-06-29$3.87$3.7532.2%9.2%27.6%4.2%32.1%30.2%3.0%-245.1K1.4M-100.1K0.0213.19N/AN/A19,28838065,624106,804
2009-06-30$3.88$3.7532.8%9.4%27.3%4.9%32.8%29.1%2.8%-108.1K-1.7M-108.0K0.9413.65N/AN/A85680480,004106,952